How To Make a Half Billion $ Trading Algorithm

Rotman International Trading Competition is one of the most important Finance Competitions in the world.

Every year some of the best universities (like Princeton University, Cornell University, Fordham, Carnegie Mellon University) select the best students to compete in this trading challenge based in Toronto and Luiss University it is the best Italian university to compete in terms of final results.

In the 2019 year, Luiss ranked 4th, and this is a bad result considering the consistency of the score of the past years (ranging around the 1st-4th place on average), showing to be one of the most competitive and strong universities in the world in terms of applied knowledge.

Given its young age (founded around 1977 from the best Italian entrepreneurial family – Agnelli) and the Italian economic condition (low italian nominal salaries that influence rankings parameters) the international rankings don’t seem to give the right level of attention for this university (in the national one “In 2016, Luiss ranked first in the Il Sole 24 Ore annual national ranking” – the best Italian university).

The process to become a member of the Team for the Rotman International Trading Competition it is very hard and requires some preparation.

In fact, every year approximately 140 students participate in the Luiss seminar to be chosen (the best 12 will be interviewed and 6 will go to Toronto).

The seminar is divided into 4 sections: Sales & Traders, Options, Commodities, and Algo Trading.
The first 3 are managed manually (you can send orders via click with the mouse in real-time trading) and the last one it is determined by your Algorithm (written in VBA or Python).

Passionate by challenges, I subscribed the seminar and I immediately had an Intuition: some data could be exported to excel in the manual competitions, so if I was able to read them with Python I could simulate the click on the screen achieving a great competitive advantage (I would be the fastest because other would compete manually).

I talked with a friend of mine, Andrea Bozzato (Genius Finance guy pursuing a Global Finance Double Degree at Fordham Gabelli Business School in partnership with Luiss), about this possibility and he was super happy about this “hack”: so we started to study the rules and the schemes of the challenges and code the script.
It took a lot of hardworking (I sacrificed my week-ends given that was also an Exams period, working until 1.30-2.00 AM).

The scripts look working on our PCs but when we run them on the University’s PC we discovered there were some technical incompatibilities that made the mouse click in the wrong position of the screen.

Incredibly frustrated by this situation, I closed myself in my room waiting the day of the last challenge ( Algo Trading ), where I could use Python without expecting Techincal incompatibilities.
I knew that would be impossible to classify as one of the 12 because of the Script’s bug that affected my ranking position.

But I was determined to give a sense to all my past hardworking (also I learned a lot, so it was no wasted time), so I tried a lot of different Algorithm combination to win the last challenge.

When arrived the last day before the challenge I was desperate because I hadn’t found yet a good solution: I felt all the pressure and incredibly around the 2:00 AM something happened.
I discovered that applying Soros’s 92′ strategy (where he earned over 1 billion $ only on the Lira’s speculation) I could earn an Incredible amount of money (around 500 Million and 1 Billion of $ on the Rotman Platform).

The strategy relay on the fast execution of an incredible amount of short order in a strict period of time (like around 150.000 short order per second), breaking the market maker ability to sustain the current price level.

After one round, all the current position are closed at the last market price, and given the incredible quantity of shorts, the price at the end was really low, making all my expositions to be profitable.

The Professor (one of the best in his field – Emilio Barone), said to me that in 10 years of challenge never saw something similar, and his face looked a bit scared (that was funny and when the other discovered what happened I was tempted to do a “dab”).

After Making Half Billion $ While Others Were Trying to Figure Out How It Was Possible

After 2 Round the Professor let me win by forfeit (assigning me a virtual value), letting others to compete for the second place until the 6th round.

Here you can find the data of the challenges (Password: “forzaeonore”), scrolling until the 2019 section and clicking on “xlsx” near “Classifica” (also you can download the file clicking here 2019_RITC_Selection.xlsx).
Into excel file, look for the Tables (Algo 1.1 and Algo 1.2).

Algo 1.1 Final Results
Algo 1.2 Final Results

Finally, the professor asked me to join the 12 finalists interview (becoming the 13th for the first time in the history of the competition), but since I didn’t expect I had no preparation and I wasn’t selected as one of the 6 (also I slept 2 hours and I performed badly into some of the 5 step interview process, since it was right after the last competition).

The Overall experience was amazing and showed me that in Life the most important skill is the Resilence and that you must never surrender because is not finished until is not finished.

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